It usually means that a girl or guy is behaving in a teasing or sexy way that dupes someone (or several people) into thinking that they will be willing to have sex and/or a relationship with them, but at the last minute they back out of the deal and don't go through with it

(a girl) has been leading on (a guy) for months letting him think that something was going to happened between them but she finaly backed out when (the guy) asked her to be his GF